org.jquantlib.processes

Class LfmCovarianceParameterization

java.lang.Object

org.jquantlib.processes.LfmCovarianceParameterization

Direct Known Subclasses:

LfmCovarianceProxy

public abstract class LfmCovarianceParameterization
extends java.lang.Object

Constructor Summary

Constructors

Constructor and Description
LfmCovarianceParameterization(int size, int factors)

Method Summary

Modifier and Type	Method and Description
Matrix	covariance(double t)
Matrix	covariance(double t, Array x)
Matrix	diffusion(double t)
abstract Matrix	diffusion(double t, Array x)
int	factors()
Matrix	integratedCovariance(double t)
Matrix	integratedCovariance(double t, Array x)
int	size()

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

LfmCovarianceParameterization

public LfmCovarianceParameterization(int size,
                                     int factors)

Method Detail

size

public int size()

factors

public int factors()

diffusion

public abstract Matrix diffusion(double t,
                                 Array x)

diffusion

public Matrix diffusion(double t)

covariance

public Matrix covariance(double t,
                         Array x)

covariance

public Matrix covariance(double t)

integratedCovariance

public Matrix integratedCovariance(double t,
                                   Array x)

integratedCovariance

public Matrix integratedCovariance(double t)